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Citations for "New Hope for the Expectations Hypothesis of the Term Structure of Interest Rates"

by Kenneth A. Froot

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  1. Chen, Cathy Yi-Hsuan & Kuo, I-Doun & Chiang, Thomas C., 2014. "What explains deviations in the unbiased expectations hypothesis? Market irrationality vs. the peso problem," Journal of International Financial Markets, Institutions and Money, Elsevier, Elsevier, vol. 30(C), pages 172-190.
  2. Tobias Adrian & Daniel Covitz & Nellie Liang, 2013. "Financial stability monitoring," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 2013-21, Board of Governors of the Federal Reserve System (U.S.).
  3. Josh Stillwagon, 2014. "Subjective Term Premia, Consumer Sentiment, and the Zero Lower Bound," Working Papers, Trinity College, Department of Economics 1401, Trinity College, Department of Economics.
  4. Monika Piazzesi & Martin Schneider, 2008. "Bond positions, expectations, and the yield curve," Working Paper, Federal Reserve Bank of Atlanta 2008-02, Federal Reserve Bank of Atlanta.
  5. Philippe Bacchetta & Elmar Mertens & Eric van Wincoop, 2006. "Predictability in Financial Markets: What Do Survey Expectations Tell Us?," Working Papers 102006, Hong Kong Institute for Monetary Research.
  6. Sharon Kozicki & P.A.Tinsley, 2001. "What do you expect? : imperfect policy credibility and tests of the expectations hypothesis?," Research Working Paper, Federal Reserve Bank of Kansas City RWP 01-02, Federal Reserve Bank of Kansas City.
  7. Carol L. Osler, 1989. "Interest Rate Term Premiums and the Failure of the Speculative Efficiency Hypothesis: A Theoretical Investigation," NBER Working Papers 3060, National Bureau of Economic Research, Inc.
  8. Aaron Tornell, 2003. "Exchange Rate Puzzles and Distorted Beleifs (June 2003), with Pierre-Olivier Gourinchas," UCLA Economics Online Papers, UCLA Department of Economics 265, UCLA Department of Economics.
  9. Allan D. Brunner & David P. Simon, 1995. "Excess returns and risk at the long end of the Treasury market: an EGARCH-M approach," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) 522, Board of Governors of the Federal Reserve System (U.S.).
  10. Giorgio Valente & Daniel Thornton & Lucio Sarno, 2005. "The Empirical Failure of the Expectations Hypothesis of the Term Structure of Bond Yields," Working Papers, Warwick Business School, Finance Group wp05-13, Warwick Business School, Finance Group.
  11. Nautz, Dieter & Wolters, Jürgen, 1998. "The response of long-term interest rates to news about monetary policy actions: Empirical evidence for the US and Germany," SFB 373 Discussion Papers 1998,78, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  12. repec:wyi:journl:002109 is not listed on IDEAS
  13. Agnieszka Markiewicz & Andreas Pick, 2014. "Adaptive learning and survey data," DNB Working Papers, Netherlands Central Bank, Research Department 411, Netherlands Central Bank, Research Department.
  14. Massimo Guidolin & Daniel L. Thornton, 2010. "Predictions of short-term rates and the expectations hypothesis," Working Papers, Federal Reserve Bank of St. Louis 2010-013, Federal Reserve Bank of St. Louis.
  15. Athanasios Orphanides & Don H. Kim, 2005. "Term Structure Estimation with Survey Data on Interest Rate Forecasts," Computing in Economics and Finance 2005, Society for Computational Economics 474, Society for Computational Economics.
  16. John Y. Campbell, 1995. "Some Lessons from the Yield Curve," Journal of Economic Perspectives, American Economic Association, American Economic Association, vol. 9(3), pages 129-152, Summer.
  17. Della Corte, Pasquale & Sarno, Lucio & Thornton, Daniel L., 2008. "The expectation hypothesis of the term structure of very short-term rates: Statistical tests and economic value," Journal of Financial Economics, Elsevier, Elsevier, vol. 89(1), pages 158-174, July.
  18. Anonymous, 1993. "Expectations and the term structure of interest rates," Reserve Bank of New Zealand Bulletin, Reserve Bank of New Zealand, Reserve Bank of New Zealand, vol. 56, December.
  19. Rudebusch, Glenn D., 1995. "Federal Reserve interest rate targeting, rational expectations, and the term structure," Journal of Monetary Economics, Elsevier, Elsevier, vol. 35(2), pages 245-274, April.
  20. Jeffrey A. Frankel & Cara S. Lown, 1991. "An Indicator of Future Inflation Extracted From the Steepness of the Interest Rate Yield Curve Along Its Entire Length," NBER Working Papers 3751, National Bureau of Economic Research, Inc.
  21. Timothy Cogley, 2005. "Changing Beliefs and the Term Structure of Interest Rates: Cross-Equation Restrictions with Drifting Parameters," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 8(2), pages 420-451, April.
  22. Matteo Modena, 2008. "The Term Structure and the Expectations Hypothesis: a Threshold Model," Working Papers, Business School - Economics, University of Glasgow 2008_36, Business School - Economics, University of Glasgow.
  23. Jonathan H. Wright, 2008. "Term premiums and inflation uncertainty: empirical evidence from an international panel dataset," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 2008-25, Board of Governors of the Federal Reserve System (U.S.).
  24. Thornton, Daniel L., 2005. "Tests of the expectations hypothesis: Resolving the anomalies when the short-term rate is the federal funds rate," Journal of Banking & Finance, Elsevier, Elsevier, vol. 29(10), pages 2541-2556, October.
  25. Robin Greenwood & Andrei Shleifer, . "Expectations of Returns and Expected Returns," Working Paper 102501, Harvard University OpenScholar.
  26. Gonzalez, Jorge & Spencer, Roger & Walz, Daniel, 1999. "The information in the Mexican term structure of interest rates: capital market implications," Journal of International Financial Markets, Institutions and Money, Elsevier, Elsevier, vol. 9(2), pages 149-161, April.
  27. Pami Dua & Nishita Raje, 2010. "Determinants of Weekly Yields on Government Securities in India," Working papers, Centre for Development Economics, Delhi School of Economics 187, Centre for Development Economics, Delhi School of Economics.
  28. Bulkley, George & Harris, Richard D.F. & Nawosah, Vivekanand, 2011. "Revisiting the expectations hypothesis of the term structure of interest rates," Journal of Banking & Finance, Elsevier, Elsevier, vol. 35(5), pages 1202-1212, May.
  29. Pierre-Olivier Gourinchas & Aaron Tornell, 1996. "Exchange Rate Dynamics and Learning," Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research 1771, Harvard - Institute of Economic Research.
  30. Bulkley, George & Giordani, Paolo, 2011. "Structural breaks, parameter uncertainty, and term structure puzzles," Journal of Financial Economics, Elsevier, Elsevier, vol. 102(1), pages 222-232, October.
  31. Nicolas Rautureau, 2004. "Modèles à changement de régime et test de la théorie des anticipations rationnelles de la structure par terme des taux d’intérêt en France," Économie et Prévision, Programme National Persée, Programme National Persée, vol. 163(2), pages 117-129.
  32. Bennett T. McCallum, 1994. "Monetary Policy and the Term Structure of Interest Rates," NBER Working Papers 4938, National Bureau of Economic Research, Inc.
  33. Lamont, Owen A., 2002. "Macroeconomic forecasts and microeconomic forecasters," Journal of Economic Behavior & Organization, Elsevier, Elsevier, vol. 48(3), pages 265-280, July.
  34. Söderlind, Paul & Svensson, Lars E O, 1997. "New Techniques to Extract Market Expectations from Financial Instruments," CEPR Discussion Papers, C.E.P.R. Discussion Papers 1556, C.E.P.R. Discussion Papers.
  35. Evans, M.D.D. & Lewis, K.K., 1993. "Trends in Expected Returns in Currency and Bond Markets," Weiss Center Working Papers, Wharton School - Weiss Center for International Financial Research 93-4, Wharton School - Weiss Center for International Financial Research.
  36. Bruno Feunou & Jean-Sébastien Fontaine, 2014. "Bond Risk Premia and Gaussian Term Structure Models," Working Papers, Bank of Canada 14-13, Bank of Canada.
  37. Takatoshi Ito & Tokuo Iwaisako, 1996. "Explaining Asset Bubbles in Japan," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, Institute for Monetary and Economic Studies, Bank of Japan, vol. 14(1), pages 143-193, July.
  38. Sadayuki Ono, 2007. "Term Structure Dynamics in a Monetary Economy with Learning," Discussion Papers, Department of Economics, University of York 07/29, Department of Economics, University of York.
  39. Ravenna , Federico & Seppälä , Juha, 2006. "Monetary policy and rejections of the expectations hypothesis," Research Discussion Papers, Bank of Finland 25/2006, Bank of Finland.
  40. Seppala, Juha, 2004. "The term structure of real interest rates: theory and evidence from UK index-linked bonds," Journal of Monetary Economics, Elsevier, Elsevier, vol. 51(7), pages 1509-1549, October.
  41. Nourzad, Farrokh & Scott Grennier, R., 1995. "Cointegration analysis of the expectations theory of the term structure," Journal of Economics and Business, Elsevier, Elsevier, vol. 47(3), pages 281-292, August.
  42. Longstaff, Francis A., 2000. "The term structure of very short-term rates: New evidence for the expectations hypothesis," Journal of Financial Economics, Elsevier, Elsevier, vol. 58(3), pages 397-415, December.
  43. Söderlind, Paul & Söderström, Ulf & Vredin, Anders, 2003. "Taylor Rules and the Predictability of Interest Rates," Working Paper Series 147, Sveriges Riksbank (Central Bank of Sweden).
  44. Chortareas, Georgios & Jitmaneeroj, Boonlert & Wood, Andrew, 2012. "Forecast rationality and monetary policy frameworks: Evidence from UK interest rate forecasts," Journal of International Financial Markets, Institutions and Money, Elsevier, Elsevier, vol. 22(1), pages 209-231.
  45. Wahab, Mahmoud, 1997. "On risk, rationality and the predictive ability of European short-term adjusted yield spreads," Journal of International Money and Finance, Elsevier, Elsevier, vol. 16(5), pages 737-765, September.
  46. Campbell, John Y & Shiller, Robert J, 1991. "Yield Spreads and Interest Rate Movements: A Bird's Eye View," Review of Economic Studies, Wiley Blackwell, Wiley Blackwell, vol. 58(3), pages 495-514, May.
  47. Kugler, Peter, 1996. "The term structure of interest rates and regime shifts: Some empirical results," Economics Letters, Elsevier, Elsevier, vol. 50(1), pages 121-126, January.
  48. Thornton, Daniel L., 2006. "Tests of the Expectations Hypothesis: Resolving the Campbell-Shiller Paradox," Journal of Money, Credit and Banking, Blackwell Publishing, Blackwell Publishing, vol. 38(2), pages 511-542, March.
  49. Jon Faust & Jonathan H. Wright, 2008. "Efficient Prediction of Excess Returns," NBER Working Papers 14169, National Bureau of Economic Research, Inc.
  50. Eric Ghysels & Jonathan H. Wright, 2006. "Forecasting professional forecasters," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 2006-10, Board of Governors of the Federal Reserve System (U.S.).
  51. Georges Prat & Remzi Uctum, 2010. "Anticipations, prime de risque et structure par terme des taux d'intérêt : une analyse des comportements d'experts," Recherches économiques de Louvain, De Boeck Université, De Boeck Université, vol. 76(2), pages 195-217.
  52. Christiansen, Charlotte, 2003. "Testing the expectations hypothesis using long-maturity forward rates," Economics Letters, Elsevier, Elsevier, vol. 78(2), pages 175-180, February.
  53. Taboga, Marco, 2007. "Structural change and the bond yield conundrum," MPRA Paper 4965, University Library of Munich, Germany.
  54. Yvon Fauvel & Alain Paquet & Christian Zimmermann, 1999. "A Survey on Interest Rate Forecasting," Cahiers de recherche CREFE / CREFE Working Papers, CREFE, Université du Québec à Montréal 87, CREFE, Université du Québec à Montréal.
  55. Jongen, Ron & Verschoor, Willem F C & Wolff, Christian C, 2005. "Time Variation in Term Premia: International Evidence," CEPR Discussion Papers, C.E.P.R. Discussion Papers 4959, C.E.P.R. Discussion Papers.
  56. Giuseppe Ferrero & Andrea Nobili, 2008. "Short-term interest rate futures as monetary policy forecasts," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area 681, Bank of Italy, Economic Research and International Relations Area.
  57. Taboga, Marco, 2009. "Macro-finance VARs and bond risk premia: A caveat," Review of Financial Economics, Elsevier, Elsevier, vol. 18(4), pages 163-171, October.
  58. Canova, Fabio & Marrinan, Jane, 1996. "Reconciling the term structure of interest rates with the consumption-based ICAP model," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 20(4), pages 709-750, April.
  59. Smant, David / D.J.C., 2010. "Direct tests of the expectations theory of the term structure: Survey expectations, the term premium and coefficient biases," MPRA Paper 19815, University Library of Munich, Germany.
  60. Ederington, Louis H. & Huang, Chao-Hsi, 1995. "Parameter uncertainty and the rational expectations model of the term structure," Journal of Banking & Finance, Elsevier, Elsevier, vol. 19(2), pages 207-223, May.
  61. Christian Pierdzioch & Jan-Christoph Rülke, 2013. "A note on the anti-herding instinct of interest rate forecasters," Empirical Economics, Springer, Springer, vol. 45(2), pages 665-673, October.
  62. Jorion, Philippe, 1996. "Does real interest parity hold at longer maturities?," Journal of International Economics, Elsevier, Elsevier, vol. 40(1-2), pages 105-126, February.
  63. Christian Wolff & Ron Jongen & Willem F.C. Verschoor, 2009. "Time-Variation in Term Permia: International Survey-Based Evidence," LSF Research Working Paper Series, Luxembourg School of Finance, University of Luxembourg 09-02, Luxembourg School of Finance, University of Luxembourg.
  64. Pami Dua & Nishita Raje & Satyananda Sahoo, 2004. "Interest Rate Modeling and Forecasting in India," Occasional papers 3, Centre for Development Economics, Delhi School of Economics.
  65. Andreas Fischer, 1989. "Interpreting the Term Structure of Interest Rates Using Weekly Money Announcements," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), Swiss Society of Economics and Statistics (SSES), vol. 125(I), pages 43-53, March.
  66. Hsu, Chiente & Kugler, Peter, 1997. "The Revival of the Expectations Hypothesis of the US Term Structure of Interest Rates," Economics Letters, Elsevier, Elsevier, vol. 55(1), pages 115-120, August.
  67. Dahlquist, Magnus & Jonsson, Gunnar, 1995. "The information in Swedish short-maturity forward rates," European Economic Review, Elsevier, Elsevier, vol. 39(6), pages 1115-1131, June.
  68. Gourinchas, Pierre-Olivier & Tornell, Aaron, 2004. "Exchange rate puzzles and distorted beliefs," Journal of International Economics, Elsevier, Elsevier, vol. 64(2), pages 303-333, December.
  69. Jitmaneeroj, Boonlert & Wood, Andrew, 2013. "The expectations hypothesis: New hope or illusory support?," Journal of Banking & Finance, Elsevier, Elsevier, vol. 37(3), pages 1084-1092.
  70. María O González & Frank Skinner & Samuel Agyei-Ampomah, 2013. "Term structure information and bond strategies," Review of Quantitative Finance and Accounting, Springer, Springer, vol. 41(1), pages 53-74, July.
  71. Eckwert, Bernhard, 1996. "Equilibrium term structure relations of risky assets in incomplete markets," The Quarterly Review of Economics and Finance, Elsevier, Elsevier, vol. 36(3), pages 327-346.
  72. Iichiro Uesugi & Guy M. Yamashiro, 2003. "On the Relationship Between the Very Short Forward and the Spot Interest Rate," Discussion papers, Research Institute of Economy, Trade and Industry (RIETI) 03013, Research Institute of Economy, Trade and Industry (RIETI).
  73. Toni Gravelle & James Morley, 2005. "A Kalman filter approach to characterizing the Canadian term structure of interest rates," Applied Financial Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 15(10), pages 691-705.
  74. Ahrens, Ralf, 1999. "Improving market-based forecasts of short-term interest rates: Time-varying stationarity and the predictive content of switching regime-expectations," CFS Working Paper Series 1999/14, Center for Financial Studies (CFS).
  75. Timothy Cook & Thomas Hahn, 1990. "Interest rate expectations and the slope of the money market yield curve," Economic Review, Federal Reserve Bank of Richmond, Federal Reserve Bank of Richmond, issue Sep, pages 3-26.
  76. D H Kim, 2002. "Another look at yield spreads: The role of liquidity," Centre for Growth and Business Cycle Research Discussion Paper Series, Economics, The Univeristy of Manchester 04, Economics, The Univeristy of Manchester.
  77. Cavaglia, Stefano M. F. G. & Wolff, Christian C. P., 1996. "A note on the determinants of unexpected exchange rate movements," Journal of Banking & Finance, Elsevier, Elsevier, vol. 20(1), pages 179-188, January.
  78. Stephen R. Blough, 1994. "Yield curve forecasts of inflation: a cautionary tale," New England Economic Review, Federal Reserve Bank of Boston, Federal Reserve Bank of Boston, issue May, pages 3-16.
  79. Juha Ilmari Seppala, 2000. "The Term Structure of Real Interest Rates: Theory and Evidence from the U.K. Index-Linked Bonds," Econometric Society World Congress 2000 Contributed Papers, Econometric Society 0245, Econometric Society.
  80. Jongen, Ron & Verschoor, Willem F.C., 2008. "Further evidence on the rationality of interest rate expectations," Journal of International Financial Markets, Institutions and Money, Elsevier, Elsevier, vol. 18(5), pages 438-448, December.
  81. Jongen, Ron & Verschoor, Willem F.C. & Wolff, Christian C.P., 2011. "Time-variation in term premia: International survey-based evidence," Journal of International Money and Finance, Elsevier, Elsevier, vol. 30(4), pages 605-622, June.
  82. Jose Renato Haas Ornelas & Antonio Francisco de Almeida Silva Jr, 2014. "Testing the Liquidity Preference Hypothesis using Survey Forecasts," Working Papers Series, Central Bank of Brazil, Research Department 353, Central Bank of Brazil, Research Department.
  83. Ron Jongen & Willem F.C. Verschoor & Christian C.P. Wolff, 2008. "Foreign Exchange Rate Expectations: Survey And Synthesis," Journal of Economic Surveys, Wiley Blackwell, Wiley Blackwell, vol. 22(1), pages 140-165, 02.
  84. Grahame Johnson, 2003. "Measuring Interest Rate Expectations in Canada," Working Papers, Bank of Canada 03-26, Bank of Canada.
  85. Baker, Malcolm & Greenwood, Robin & Wurgler, Jeffrey, 2003. "The maturity of debt issues and predictable variation in bond returns," Journal of Financial Economics, Elsevier, Elsevier, vol. 70(2), pages 261-291, November.
  86. MacDonald, Ronald, 2000. " Expectations Formation and Risk in Three Financial Markets: Surveying What the Surveys Say," Journal of Economic Surveys, Wiley Blackwell, Wiley Blackwell, vol. 14(1), pages 69-100, February.
  87. Jongen, Ron & Verschoor, Willem F C & Wolff, Christian C & Zwinkels, Remco C.J., 2008. "Dispersion of Beliefs in the Foreign Exchange Market," CEPR Discussion Papers, C.E.P.R. Discussion Papers 6738, C.E.P.R. Discussion Papers.
  88. Ramchander, Sanjay & Simpson, Marc W. & Chaudhry, Mukesh K., 2005. "The influence of macroeconomic news on term and quality spreads," The Quarterly Review of Economics and Finance, Elsevier, Elsevier, vol. 45(1), pages 84-102, February.